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Deprecate some unused parts of the old FD framework #2091

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Oct 14, 2024
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Deprecate some unused parts of the old FD framework #2091

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18 changes: 18 additions & 0 deletions ql/grid.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -28,10 +28,28 @@

namespace QuantLib {

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
[[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
Array CenteredGrid(Real center, Real dx, Size steps);

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
[[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
Array BoundedGrid(Real xMin, Real xMax, Size steps);

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
[[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]]
Array BoundedLogGrid(Real xMin, Real xMax, Size steps);


// inline definitions

inline Array CenteredGrid(Real center, Real dx, Size steps) {
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19 changes: 14 additions & 5 deletions ql/math/transformedgrid.hpp
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Expand Up @@ -30,11 +30,11 @@

namespace QuantLib {

//! transformed grid
/*! This package encapuslates an array of grid points. It is used primarily
in PDE calculations.
/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class TransformedGrid {
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] TransformedGrid {
public:
TransformedGrid (const Array &grid) :
grid_(grid), transformedGrid_(grid),
Expand Down Expand Up @@ -93,14 +93,23 @@ namespace QuantLib {
Array dx_;
};

class LogGrid : public TransformedGrid {

QL_DEPRECATED_DISABLE_WARNING

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] LogGrid : public TransformedGrid {
public:
LogGrid(const Array &grid) :
TransformedGrid(grid, [](Real x) -> Real { return std::log(x); }){};
const Array & logGridArray() const { return transformedGridArray();}
Real logGrid(Size i) const { return transformedGrid(i);}
};

QL_DEPRECATED_ENABLE_WARNING

}


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4 changes: 4 additions & 0 deletions ql/methods/finitedifferences/bsmoperator.cpp
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Expand Up @@ -24,6 +24,8 @@

namespace QuantLib {

QL_DEPRECATED_DISABLE_WARNING

BSMOperator::BSMOperator(Size size, Real dx, Rate r,
Rate q, Volatility sigma)
: TridiagonalOperator(size) {
Expand All @@ -49,4 +51,6 @@ namespace QuantLib {
}
}

QL_DEPRECATED_ENABLE_WARNING

}
8 changes: 5 additions & 3 deletions ql/methods/finitedifferences/bsmoperator.hpp
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Expand Up @@ -30,9 +30,11 @@

namespace QuantLib {

//! Black-Scholes-Merton differential operator
/*! \ingroup findiff */
class BSMOperator : public TridiagonalOperator {
/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] BSMOperator : public TridiagonalOperator {
public:
BSMOperator() = default;
BSMOperator(Size size, Real dx, Rate r, Rate q, Volatility sigma);
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30 changes: 26 additions & 4 deletions ql/methods/finitedifferences/pde.hpp
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Expand Up @@ -29,12 +29,18 @@
#include <ql/math/transformedgrid.hpp>

namespace QuantLib {
class PdeSecondOrderParabolic {

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeSecondOrderParabolic {
public:
virtual ~PdeSecondOrderParabolic() = default;
virtual Real diffusion(Time t, Real x) const = 0;
virtual Real drift(Time t, Real x) const = 0;
virtual Real discount(Time t, Real x) const = 0;
QL_DEPRECATED_DISABLE_WARNING
virtual void
generateOperator(Time t, const TransformedGrid& tg, TridiagonalOperator& L) const {
for (Size i = 1; i < tg.size() - 1; i++) {
Expand All @@ -51,8 +57,12 @@ namespace QuantLib {
}
};

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
template <class PdeClass>
class PdeConstantCoeff : public PdeSecondOrderParabolic {
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeConstantCoeff : public PdeSecondOrderParabolic {
public:
PdeConstantCoeff(const typename PdeClass::argument_type &process,
Time t, Real x) {
Expand All @@ -71,8 +81,14 @@ namespace QuantLib {
Real discount_;
};

QL_DEPRECATED_ENABLE_WARNING

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
template <class PdeClass>
class GenericTimeSetter:public TridiagonalOperator::TimeSetter {
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] GenericTimeSetter:public TridiagonalOperator::TimeSetter {
public:
template <class T>
GenericTimeSetter(const Array &grid, T process) :
Expand All @@ -86,17 +102,23 @@ namespace QuantLib {
PdeClass pde_;
};

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
template <class PdeClass>
class PdeOperator:public TridiagonalOperator {
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeOperator:public TridiagonalOperator {
public:
template <class T>
PdeOperator(const Array& grid,
T process,
Time residualTime = 0.0) :
TridiagonalOperator(grid.size()) {
QL_DEPRECATED_DISABLE_WARNING
timeSetter_ =
ext::shared_ptr<GenericTimeSetter<PdeClass> >(
new GenericTimeSetter<PdeClass>(grid, process));
QL_DEPRECATED_ENABLE_WARNING
setTime(residualTime);
}
};
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13 changes: 10 additions & 3 deletions ql/methods/finitedifferences/pdebsm.hpp
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Expand Up @@ -30,10 +30,15 @@

namespace QuantLib {

class PdeBSM : public PdeSecondOrderParabolic {
QL_DEPRECATED_DISABLE_WARNING

/*! \deprecated Part of the old FD framework; copy this function
in your codebase if needed.
Deprecated in version 1.37.
*/
class [[deprecated("Part of the old FD framework; copy this function in your codebase if needed")]] PdeBSM : public PdeSecondOrderParabolic {
public:
typedef ext::shared_ptr<GeneralizedBlackScholesProcess>
argument_type;
typedef ext::shared_ptr<GeneralizedBlackScholesProcess> argument_type;
typedef LogGrid grid_type;
PdeBSM(argument_type process) : process_(std::move(process)){};
Real diffusion(Time t, Real x) const override { return process_->diffusion(t, x); }
Expand All @@ -48,6 +53,8 @@ namespace QuantLib {
const argument_type process_;
};

QL_DEPRECATED_ENABLE_WARNING

}


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6 changes: 6 additions & 0 deletions test-suite/operators.cpp
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Expand Up @@ -168,6 +168,8 @@ BOOST_AUTO_TEST_CASE(testConsistency) {
BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
BOOST_TEST_MESSAGE("Testing consistency of BSM operators...");

QL_DEPRECATED_DISABLE_WARNING

Array grid(10);
Real price = 20.0;
Real factor = 1.1;
Expand Down Expand Up @@ -198,6 +200,7 @@ BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
Handle<YieldTermStructure>(qTS),
Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS)));

PdeOperator<PdeBSM> op2(grid, stochProcess, residualTime);

Real tolerance = 1.0e-6;
Expand All @@ -222,6 +225,9 @@ BOOST_AUTO_TEST_CASE(testBSMOperatorConsistency) {
<< op2.upperDiagonal()[i]);
}
}

QL_DEPRECATED_ENABLE_WARNING

}

BOOST_AUTO_TEST_SUITE_END()
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5 changes: 5 additions & 0 deletions test-suite/transformedgrid.cpp
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Expand Up @@ -39,6 +39,8 @@ BOOST_AUTO_TEST_CASE(testConstruction) {

BOOST_TEST_MESSAGE("Testing transformed grid construction...");

QL_DEPRECATED_DISABLE_WARNING

PlusOne p1;
Array grid = BoundedGrid(0, 100, 100);
TransformedGrid tg(grid, p1);
Expand All @@ -48,6 +50,9 @@ BOOST_AUTO_TEST_CASE(testConstruction) {

if (std::fabs(tg.transformedGrid(0) - 1.0) > 1e-5)
BOOST_ERROR("grid transformation failed");

QL_DEPRECATED_ENABLE_WARNING

}

BOOST_AUTO_TEST_SUITE_END()
Expand Down
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